"Best" is pretty subjective, so I don't know if there is really one that is universally considered the best. In my last post I mentioned Scottrade and Zecco being two online brokerages worth looking at. Look back at the post here:

I agree with Aaron, and I would add TD Ameritrade ($10 commission I believe) as an option as well. Those three have some of the lowest commissions out there, and commissions make a big difference when you're first starting out and investing relatively small sums of money at a time. I personally use Scottrade and have been very satisfied. They finally released an iPhone app a few weeks ago in case that factors into your decision at all. Good luck, and keep asking questions! It's one of the best ways to learn.